AI Research SPYEOGXLEmacro:brent_daily

EOG vs XLE: next 20-session relative return after Brent up / SPY down

78
Signal days analyzed

Oil up, stocks down, and the high-beta driller that's supposed to outrun the diversified energy ETF: that was the setup tested across 78 days since late 2023. EOG did beat XLE over the following 20 sessions, but only by 0.38 percentage points on average, and it trailed on 51% of those signals.

The average is propped up by a handful of violent stretches — top spreads near +11% — while the typical outcome went the other way. On all other days the same EOG-minus-XLE spread averaged -0.70%, so the regime does flip the relationship by about 1.1 points. The direction matches the thesis; the reliability doesn't.

The paired gap inside the signal is a statistical coin flip, and EOG already lives inside XLE, so this was never a clean long-short. The full breakdown is below.

The research question

Over the past ~3 years, when Brent crude's 20-day return is positive while SPY's 20-day return is negative, does EOG outperform XLE over the next 20 trading sessions? I expect high-beta upstream torque to lead diversified energy equities when oil rallies into a risk-off tape, as the supply-driven crude bid gets repriced most directly into EOG.

How this was measured

Minute bars for EOG, XLE, and SPY were resampled to daily closes and joined on common trading dates. Daily Brent was shifted one business day to approximate T+1 publication and then forward-filled onto the price calendar. A signal day is one where Brent's trailing 20-session return is positive and SPY's trailing 20-session return is negative. For each day, the next-20-session returns of EOG and XLE are measured close-to-close, and EOG-minus-XLE is the relative outcome. Signal-day results are compared with all other days and tested via a paired EOG-vs-XLE t-test and a Welch test on the spread.

The key numbers

Signal days analyzed
78
Brent 20d > 0 and SPY 20d < 0, with full 20-session forward window
Mean EOG next-20d (signal)
0.9448%
N=78 signal days
Mean XLE next-20d (signal)
0.5670%
N=78 signal days
Mean EOG minus XLE (signal)
0.3778%
Positive = EOG outperforms XLE over next 20 sessions
Win rate (signal)
48.72%
Share of signal days where EOG beat XLE over next 20 sessions
Mean EOG minus XLE (other days)
-0.7011%
N=589 non-signal days
Signal vs other-day edge
1.0789%
Signal-day mean spread minus other-day mean spread
Paired EOG vs XLE p-value (signal)
0.4430
p=0.4430 ≥ 0.05 → no statistically-clear paired gap
Welch p-value (signal vs other days)
0.0368
p=0.0368 < 0.05 → signal-day spread differs from other days

Reading the numbers

On the 78 days when Brent was up and SPY was down over the prior 20 sessions, EOG averaged +0.94% over the next 20 sessions versus XLE's +0.57%, a +0.38% edge. The edge versus non-signal days is bigger at +1.08%, but the paired EOG-vs-XLE gap is not statistically clear (p=0.44).

The charts

Mean next-20d return: EOG vs XLE by signal regime
EOG minus XLE next-20d spread by regime
Signal days: Brent 20d vs EOG-XLE next-20d spread
What this chart says

Each point is a signal day, plotting how strong Brent's 20-day move was against how much EOG subsequently beat or lagged XLE over the next 20 sessions. Brent moves ranged from about +0.3% to +70.3%, averaging +17.6%, while the EOG-minus-XLE spread ranged from -8.86% to +11.00%, averaging +0.38%. The scatter does not show a simple pattern where bigger crude rallies line up with bigger EOG outperformance, which tempers the idea that the crude bid reprices into EOG in a straight-line way.

Next-20d summary by regime

SampleNMean EOG fwd20Mean XLE fwd20Mean EOG-XLEWin rate
Signal: Brent up / SPY down780.00940.00570.00380.4872
Other days5890.00960.0166-0.0070.4363
All days6670.00960.0153-0.00570.4423

Signal-day detail (sorted by EOG minus XLE)

DateBrent 20dSPY 20dEOG fwd20XLE fwd20EOG-XLE
2026-02-100.0934-0.00030.17370.06370.11
2026-02-260.0058-0.0120.22630.12650.0998
2026-02-040.1113-0.00610.15730.06770.0896
2026-02-050.1457-0.02350.16610.08520.0809
2026-02-270.0107-0.01290.20550.12530.0802
2026-02-110.0858-0.00170.12890.0490.0799
2026-02-090.1123-0.00110.11530.03590.0793
2026-03-020.0045-0.00890.16010.09570.0643
2026-03-040.2298-0.00260.11550.0520.0635
2026-02-120.0583-0.01280.13350.070.0635
2026-02-130.0135-0.01730.12610.06330.0629
2026-02-250.0518-0.00720.17190.1120.0599
2026-02-230.1114-0.00690.14080.08630.0546
2026-02-190.0606-0.00220.12870.0760.0527
2026-02-170.0703-0.01390.13540.09030.0451
2025-01-160.1336-0.0219-0.0615-0.0313-0.0302
2024-04-240.0397-0.0351-0.0824-0.0507-0.0318
2024-04-250.0489-0.0257-0.0826-0.0505-0.0321
2025-11-200.0241-0.0266-0.0379-0.0055-0.0324
2025-04-040.0205-0.118-0.00140.0367-0.0381
2024-04-290.047-0.0241-0.1028-0.0583-0.0445
2025-11-170.0363-0.0096-0.071-0.0241-0.0469
2026-07-200.0583-0.00640.03170.0799-0.0482
2024-04-260.0223-0.0212-0.1004-0.0514-0.049
2024-04-300.0412-0.0414-0.0536-0.0037-0.0498
2026-07-170.0091-0.00170.01310.0715-0.0584
2026-07-300.305-0.0022-0.00680.0533-0.0601
2024-05-010.0068-0.0352-0.0844-0.0141-0.0703
2026-07-290.1944-0.0186-0.00710.0655-0.0727
2026-07-310.3274-0.002-0.04540.0432-0.0886

The takeaway

Directionally yes, but far too weak to lean on: across the 78 days since late 2023 when Brent's 20-day return was positive and SPY's was negative, EOG beat XLE by an average of 0.38 percentage points over the next 20 sessions (+0.94% vs +0.57%). That same EOG-minus-XLE spread averaged -0.70% on all other days, so the regime does flip the relationship by roughly 1.1 points — the sign is what you predicted. The catch is underneath the average: EOG only won 49% of the time, so it actually lagged in more than half of these signals, and a positive mean with a sub-50% win rate means a few blowout stretches are doing the work (top signal days show spreads of +11%, +10%, and +9%). Within the regime, the EOG-vs-XLE gap is statistically indistinguishable from noise (p = 0.44 — essentially a coin flip), and the more flattering signal-days-vs-other-days comparison (p = 0.037) is boosted by overlapping 20-day windows that inflate the effective sample size. Read it as a plausible tilt rather than an edge: the story about high-beta crude torque is not contradicted, but it is not confirmed either, and EOG sitting inside XLE means this was never a clean long-short to begin with.

The fine print